A simple randomized algorithm for sequential prediction of ergodic time series

We present a simple randomized procedure for the prediction of a binary sequence. The algorithm uses ideas from previous developments of the theory of the prediction of individual sequences. We show that if the sequence is a realization of a stationary and ergodic random process then the average num...

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Veröffentlicht in:	IEEE transactions on information theory 1999-11, Vol.45 (7), p.2642-2650
Hauptverfasser:	Gyorfi, L., Lugosi, G., Morvai, G.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Bayesian analysis Binary sequences Ergodic processes Information technology Information theory Markov processes Optimization Random processes Time series
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